Search results for "foreign exchange market"
showing 2 items of 12 documents
THE US DOLLAR, THE EURO, THE JAPANESE YEN AND THE CHINESE YUAN IN THE FOREIGN EXCHANGE MARKET – A COMPARATIVE ANALYSIS
2013
This paper exposes an evaluation of the bilateral exchange rate developments of the US dollar against the euro, the Japanese yen and the Chinese yuan/renminbi and surveys the nominal and real effective exchange rates trends of such currencies over the period 1994-2012. It also briefly reviews the currency composition of the foreign exchange market turnover, pointing out several important features of the evolution of this market after the introduction of the euro.
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
2015
We present a Hawkes-model approach to the foreign exchange market in which the high-frequency price dynamics is affected by a self-exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is able to capture the increase of trading activity after the news, both when the news has a sizable effect on volatility and when this effect is negligible, either because the news in not important or because the announcement is in line with the forecast by analysts. We extend the model by considering noncausal effects, due to the fact that the existence of the news (but not…